There are many options for back yard sheds, from simple four-sided boxes with one door, used for storage, to multifloored, fully powered "man-caves" suited for any activity. They offer a place to keep items, grow plants, work on projects, or even provide a place for kids to play. Building one yourself requires a basic knowledge of construction, the capacity to read plans (and a measuring tape), and a bit of proper preparation and planning.
Check local regulations before attempting to build a back yard shed (you may need to obtain a permit). Get a set of plans either locally or online. Prepare a material and tool list. Hire a local electrician and/or plumber if necessary.
Prepare the area where you plan to build. Clear and level the ground. Stake out the area for footings. Make sure the marked-out area is square by measuring diagonally (corner-to-corner) to make sure the dimensions are the same (if they are not, you will have a trapezoid, not a rectangle or square). Install poured concrete, patio paver, or a solid concrete slab footing. Create a foundation with CMU block, or use CMU block or pavers to make the piers.
Construct the floor by installing the band, girders, and joists. Sizing for joist and girders will vary depending on the width and length of the building. Refer to local code as to what is acceptable. Be sure to use pressure-treated material wherever wood comes into contact with the ground or with concrete/pavers. As you work, check that floor components are installed level and square. Sheath with a quality subfloor product such as 5/8-inch tongue and groove plywood.
Build each wall one at a time on the floor deck, framing out any windows or doors appropriately, then raise the framed wall. Use temporary 1-inch x 4-inch braces to hold in it place, and nail (or screw) the floor plate (the horizontal piece at the bottom of the wall) into the subfloor to secure. Build the next wall, and raise it, and continue until all the walls are set in place. Nail the walls to each other at the corners (if needed, use scraps of wall lumber as blocking to ensure good contact). Check that the walls are nailed well at the floor. Apply exterior wall sheathing.
Depending on the style of roof, either preconstruct your rafter units or build the individual rafters in place. Cross-brace as needed, and secure the rafters well. Apply roof sheathing, tar paper, shingles, and roof vent (optional). Finish installing any exterior sheathing for the walls. Install any windows, door, steps or ramps.
If you are painting, prime all exterior finishes with a quality primer. Putty and caulk, then apply a good exterior paint. If you are using siding, install it where you want it. Seal any other exposed wood. Plumb and wire the interior. Insulate and/or enclose the interior walls. Attach any exterior tie-downs as required by local code.